Cassese, Gianluca Guidolin, Massimo 2004 We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We report that a striking percentage of the data consists of option prices violating basic no-arbitrage conditions. This percentage declines when we relax the no-arbitrage restrictions to accommodate for the presence of bid/ask spreads and other frictions, but never becomes negligible. We also investigate the informational efficiency of the MIBO and conclude that option prices are poor predictors of the volatility of MIB30 returns. This conclusion is robust to a number of statistical and sampling methods. application/pdf https://n2t.net/ark:/12658/srd1318142 https://susi.usi.ch/global/documents/318142 https://susi.usi.ch/documents/318142/files/cassese_EN_2004.pdf eng info:eu-repo/semantics/altIdentifier/doi/10.1111/j.0391-5026.2004.00133.x info:eu-repo/semantics/altIdentifier/ark/12658/srd1318142 info:eu-repo/semantics/openAccess License undefined Economic notes. - Blackwell. - 2004, vol. 33, no. 2, p. 275-321 info:eu-repo/classification/udc/33 Pricing and informational efficiency of the MIB30 index options market : an analysis with high-frequency data http://purl.org/coar/resource_type/c_6501